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You are right, most trading system fails on Cocoa.
A close examonation shows that:
1)There is a serious downtrend bias
2) The cyclical components are important and not stable.
So, a trend following approach will not work.
I have tested with usual indicators that works in most markets with neurofuzzy
logic.
They failed here too.
The only approach that I have tested and that works use cycle analysis ( not
mesa or FFT, but it should work too).
I have used the Ehler's cycle approach with personal modifications.
The system uses 5 indicators
-(signed) trend mode duration
-(signed )cycle mode duration
-cycle amplitude
-ADX(14)
-ADX(14)-ADX(14)[1]
Used as inputs into the SafirX software.
Data as continuous daily contacts from 11 81 to 03 94
Train on first half of the file, test on the second.
Cost and Slippage $100 , point value$10, no deposit ( I do not know the
value!).
ROMID is 1054% uder these condition. (allthe file train and test period, but
the Equity curve is close to a straight line).
Net profit is $54190
Theroretical maximum
$331150 ( see Target performance summary section).
If you have a cycle analysis software, you may try to produce such or better
results with the Safir-X evaluation version
Test duration : <30 min.
55 solutions were found .
The best is below.
( Copied from the Safir Journal. No time to run it again in TS5).
Sorry for the CR missing on aol.
Sincerely,
Pierre Orphelin
www.sirtrade.com
Sys. Bfreq *** phase01
------------------------------------------------------------------------------
-------------: Total net profit ...
Trading policy : Buy and
Sell--------------------------------------------------------------------------
----------------
Point value : 10.00, Round Turn : 10.00, Deposit : 0.00 No automatic
threshold detection, Threshold = 0.50-
net profit 0 54190 54190 Open pos.
P/L 0.00 600.00 600.00profit 0 81840 81840 Gross loss 0 27650 27650. #
trades 0 86 86 % profitable 0 59 59# win. trades 0 51 51 # los.
trades 0 35 35win. trade 0.00 6870.00 6870.00 Largest los.
trade 0.00 -3640.00 -3640.00win. trade 0.00 1604.71 1604.71 Average los.
trade 0.00 -790.00 -790.00win/avg los 0.00 2.03 2.03 Avg tr.
(win&&los) 0.00 630.12 630.12consec. win. 0 7 7 Max consec. los. 0 4 4# bars
in win. 0 47 47 Avg # bars in los. 0 26 26Int.
Drawdown 0 -5140 -5140 MFE 0.00 7080.00 7080.00factor 0.00 2.96 2.96 MAE 0.0
0 -4220.00 -4220.00size req. 0 5140 5140 Return on acc.
% 0 1054 1054fitness 0 53349 53349 Full return on
account 0.00 10.54 10.54safety fitness 0.00 0.00 0.00 Trade
ratio 0.00 0.39 0.39fitness 0.00 10.54 10.54 Regression
fitness 0.00 0.17 0.17fitness 0.00 23.09 23.09 Simple Sharpe
ratio 0.00 2.47 2.47-
------------------------------------------------------------------------------
-----------------------
------------- TARGET PERFORMANCE SUMMARY-------------Price
data:-------------Point Value: 10.00, Round Turn: 100.00, Deposit:
0.00------------- . net profit 0 331150 331150 Open pos.
P/L 0.00 1500.00 1500.00profit 0 331390 331390 Gross loss 0 240 240. #
trades 0 207 207 % profitable 0 99 99# win. trades 0 205 205 # los.
trades 0 2 2win. trade 0.00 7960.00 7960.00 Largest los.
trade 0.00 -120.00 -120.00win. trade 0.00 1616.54 1616.54 Average los.
trade 0.00 -120.00 -120.00win/avg los 0.00 13.47 13.47 Avg tr.
(win&&los) 0.00 1599.76 1599.76consec. win. 0 83 83 Max consec. los. 0 1 1#
bars in win. 0 16 16 Avg # bars in los. 0 4 4Int.
Drawdown 0 -120 -120 MFE 0.00 8170.00 8170.00factor 0.00 1380.79 1380.79 MAE
0.00 -520.00 -520.00size req. 0 120 120 Return on acc.
% 0 275958 275958-------------
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